Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI Europe Financials ETF backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI Europe Financials ETF. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.4%, MDD -21.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.8%, drawdown -59.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.2%, MDD -24.8%, Sharpe 0.48, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 4.4%, MDD -21.2%, exposure 45%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=187 |
6.2% | -24.8% | 0.48 | 0.25 | 2.7x | 35 | 58% |
| ROC 모멘텀 n=168, threshold=0.06 |
4.4% | -21.2% | 0.40 | 0.21 | 2.0x | 103 | 45% |
| SMA 크로스오버 fast=25, slow=201 |
3.8% | -46.5% | 0.32 | 0.08 | 1.8x | 27 | 58% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
0.7% | -5.9% | 0.27 | 0.13 | 1.1x | 8 | 3% |
| Donchian 채널 돌파 entryN=40, exitN=44 |
2.3% | -36.3% | 0.22 | 0.06 | 1.5x | 47 | 61% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=2.6 |
0.5% | -8.3% | 0.18 | 0.06 | 1.1x | 14 | 2% |
| Supertrend period=16, mult=5 |
-2.0% | -59.8% | -0.05 | -0.03 | 0.7x | 79 | 57% |
| ADX / DI 방향성 period=26, threshold=29 |
-0.1% | -5.1% | -0.07 | -0.03 | 1.0x | 4 | 1% |
| MACD fast=19, slow=50, signal=19 |
-3.8% | -69.0% | -0.16 | -0.06 | 0.5x | 191 | 50% |
| Parabolic SAR step=0.05, maxStep=0.28 |
-7.0% | -77.9% | -0.33 | -0.09 | 0.3x | 549 | 55% |
| Buy and hold | 3.8% | -59.1% | 0.27 | 0.06 | 1.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 187-day EMA
- Sell — Sell when the 7-day EMA falls below the 187-day EMA